chfliborswap.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- *//* Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano Copyright (C) 2006 Chiara Fornarola This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/license.shtml>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.*/#include <ql/indexes/swap/chfliborswap.hpp>#include <ql/indexes/ibor/chflibor.hpp>#include <ql/time/calendars/target.hpp>#include <ql/time/daycounters/thirty360.hpp>#include <ql/currencies/europe.hpp>namespace QuantLib {
ChfLiborSwapIsdaFix::ChfLiborSwapIsdaFix(const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("ChfLiborSwapIsdaFix", // familyName
tenor,
2, // settlementDays
CHFCurrency(),
TARGET(),
1*Years, // fixedLegTenorModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
tenor > 1*Years ?
boost::shared_ptr<IborIndex>(new CHFLibor(6*Months, h)) :
boost::shared_ptr<IborIndex>(new CHFLibor(3*Months, h))) {}
}